Daily trade alerts for BTC and ETH

Intro

In the backtesting analysis, I have established different profitable strategies for timing entry/exits. Click on the hyperlinks below to see how these signals were identified.

Simple moving averages for BTC and ETH.
Moving average crosses for BTC and ETH.
Directional movement index (DMI) for BTC and ETH.
True strength index (TSI) for BTC and ETH.
Stochastic oscillator (stoch) for BTC and ETH.
Double RSI and BTC and ETH.

This script will examine the price action and these trade signals just before the daily close. If the signal is TRUE, it is bullish and if FALSE it is bearish. When there is a switch from bearish to bullish it is a buy signal and when it switches from bullish to bearish it is a sell signal. This HTML is updated just before the daily close each day, but push notifications for any trade signals are also sent by push bullet.

To receive these signals in real-time, subscribe to the following channels - it’s free for a limited time!

https://www.pushbullet.com/channel?tag=btc_signal

https://www.pushbullet.com/channel?tag=eth_signal

If you need some help to design your own trading signals/strategies, I am happy to help for a fee. email me at mark.ziemann{αt}gmail.com for any enquiries/suggestions/feedback.

This report is distributed for FREE under the MIT licence, but if you find it useful, consider a small tip.

XMR:4BGrdeAF5qyJQXjzWF4W5uCZF7WuwJU16BfPtgg1WJMnf33jZMtLvoF1jRtZBGpLtz5BQZaLYiBFJJC488anty64FB7SASD

library(png)
library(grid)
img <- readPNG("../images/donations.png")
grid.raster(img)

Reminder: this analysis is not financial advice.

suppressPackageStartupMessages({
  library("jsonlite")
  library("tidyverse")
  library("runner")
  library("quantmod")
  library("TTR")
  library("RPushbullet")
  library("kableExtra")
})

TESTING = FALSE

system("DATE=$(date -u) ; sed \"s/MYTIME/${DATE}/\" ../index0.html > ../index1.html")

mydate <- Sys.time()
attr(mydate, "tzone") <- "UTC"
mydate <- as.Date(mydate)

Get BTC price data

Obtaining BTC price data (daily) for the last 300 days.

URL="https://web-api.coinmarketcap.com/v1/cryptocurrency/ohlcv/historical?symbol=BTC&convert=USD&interval=daily&count=300"
download.file(URL,destfile="btcdat.txt")
btcdat <- fromJSON("btcdat.txt")
price <- btcdat$data$quotes
price <- data.frame(  as.Date(price$time_close) , price$quote$USD$high, price$quote$USD$low, price$quote$USD$close)
colnames(price) <- c("date","high","low","close")
tail(price) %>% kbl() %>%  kable_paper("hover", full_width = F)

	date	high	low	close
294	2022-06-28	21164.42	20228.81	20280.64
295	2022-06-29	20364.16	19937.79	20104.02
296	2022-06-30	20141.16	18729.66	19784.73
297	2022-07-01	20632.67	19073.71	19269.37
298	2022-07-02	19371.75	19027.08	19242.26
299	2022-07-03	19558.27	18966.95	19297.08

Now gather hourly price data for the last 23 hours.

URL="https://web-api.coinmarketcap.com/v1/cryptocurrency/ohlcv/historical?symbol=BTC&convert=USD&interval=hourly&time_period=hourly&count=11"
download.file(URL,destfile="btcdat.txt")
btcdat <- fromJSON("btcdat.txt")
price2 <- btcdat$data$quotes
price2 <- data.frame( as.Date(price2$time_close) , price2$quote$USD$high, price2$quote$USD$low, price2$quote$USD$close,stringsAsFactors=FALSE)
colnames(price2) <- c("date","high","low","close")
tail(price2) %>% kbl() %>%  kable_paper("hover", full_width = F)

	date	high	low	close
5	2022-07-04	19154.09	19108.33	19139.08
6	2022-07-04	19389.75	19136.71	19377.49
7	2022-07-04	19483.31	19367.68	19461.81
8	2022-07-04	19762.37	19460.99	19762.37
9	2022-07-04	19816.99	19673.57	19701.84
10	2022-07-04	19725.75	19550.29	19550.29

high <- max(price2[,2])
low <-  min(price2[,3])
close <- price2[nrow(price2),4]

df <- data.frame(date=mydate,high=high,low=low,close=close,stringsAsFactors=FALSE)
price <- rbind(price,df)
tail(price) %>% kbl() %>%  kable_paper("hover", full_width = F)

	date	high	low	close
295	2022-06-29	20364.16	19937.79	20104.02
296	2022-06-30	20141.16	18729.66	19784.73
297	2022-07-01	20632.67	19073.71	19269.37
298	2022-07-02	19371.75	19027.08	19242.26
299	2022-07-03	19558.27	18966.95	19297.08
300	2022-07-04	19816.99	19084.24	19550.29

if ( TESTING == TRUE) {
  price[nrow(price),"close"] <- price[nrow(price),"close"] * 2
}

params <- read.table("https://mdz-analytics.com/altcoins/BTC/BTC_dat.txt", header=TRUE)
params %>% kbl(caption="BTC optimised backtested parameters") %>%  kable_paper("hover", full_width = F)

BTC optimised backtested parameters
indicator	parameter	meanROI	totalROI	ntrades	ndays	xhodl
SMA	43	1.163350	1875.6348	84	3263	6.758857
EMA	76	1.232865	968.4484	57	3263	3.489807
SMAcross	21,12	1.206000	2404.9715	74	3263	8.666323
EMAcross	48,18	1.794426	1836.8613	20	3263	6.619136
DMI	6	1.085680	3107.7862	171	3263	11.198919
TSI	69,59,5	1.278166	1798.8456	51	3263	6.482146
stoch	18,75,3	1.100545	2068.5788	111	3263	7.454131
RSI2	69,74	1.149731	1806.6849	96	3263	6.510396

BTC SMA indicator

Now to determine whether BTC has crossed the SMA line.

price2 <- price

n <- as.numeric(params[params$indicator == "SMA",2])

price2$ma <- SMA(Cl(price2),n=n)
price2$signal <- price2$close > price2$ma
tail(price2) %>% kbl() %>%  kable_paper("hover", full_width = F)

	date	high	low	close	ma	signal
295	2022-06-29	20364.16	19937.79	20104.02	26230.63	FALSE
296	2022-06-30	20141.16	18729.66	19784.73	26022.82	FALSE
297	2022-07-01	20632.67	19073.71	19269.37	25765.96	FALSE
298	2022-07-02	19371.75	19027.08	19242.26	25534.37	FALSE
299	2022-07-03	19558.27	18966.95	19297.08	25298.67	FALSE
300	2022-07-04	19816.99	19084.24	19550.29	25048.12	FALSE

today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
  if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
    btc_signal="BUY"
  }
  if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
    btc_signal="SELL"
  }
} else {
btc_signal <- "NONE"
}

if (today_signal==TRUE) {
 system("sed -i 's/BTC_SMA_DAILY/BULLISH/' ../index1.html")
 system("sed -i 's/BTC_SMA_COL/green/' ../index1.html")
} else {
 system("sed -i 's/BTC_SMA_DAILY/BEARISH/' ../index1.html")
 system("sed -i 's/BTC_SMA_COL/red/' ../index1.html")
}

message(paste("BTC SMA signal:",btc_signal))

## BTC SMA signal: NONE

plot(price2$close~as.Date(price2$date),type="l",
  xlab="Date",ylab="price (USD)",main="BTC SMA")
grid()
lines(price2$ma~ as.Date(price2$date) ,col="red")

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MYNOTE = NULL

if ( btc_signal != "NONE") {
  MYNOTE <- paste("The BTC SMA signal is", btc_signal)
}

BTC SMA cross indicator

The SMA cross is a highly profitable strategy.

price2 <- price

n <- as.numeric(unlist(strsplit(params[params$indicator == "SMAcross",2],",")))
n1 <- n[1]
n2 <- n[2]

price2$ma1 <- SMA(Cl(price2),n=n1)
price2$ma2 <- SMA(Cl(price2),n=n2)

price2$signal <- price2$ma2 > price2$ma1
tail(price2) %>% kbl() %>%  kable_paper("hover", full_width = F)

	date	high	low	close	ma1	ma2	signal
295	2022-06-29	20364.16	19937.79	20104.02	22346.42	20569.62	FALSE
296	2022-06-30	20141.16	18729.66	19784.73	21854.64	20633.54	FALSE
297	2022-07-01	20632.67	19073.71	19269.37	21387.29	20526.55	FALSE
298	2022-07-02	19371.75	19027.08	19242.26	20953.07	20413.44	FALSE
299	2022-07-03	19558.27	18966.95	19297.08	20597.57	20295.65	FALSE
300	2022-07-04	19816.99	19084.24	19550.29	20457.71	20259.25	FALSE

today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
  if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
    btc_signal="BUY"
  }
  if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
    btc_signal="SELL"
  }
} else {
btc_signal <- "NONE"
}

if (today_signal==TRUE) {
 system("sed -i 's/BTC_SMA_CROSS_DAILY/BULLISH/' ../index1.html")
 system("sed -i 's/BTC_SMA_CROSS_COL/green/' ../index1.html")
} else {
 system("sed -i 's/BTC_SMA_CROSS_DAILY/BEARISH/' ../index1.html")
 system("sed -i 's/BTC_SMA_CROSS_COL/red/' ../index1.html")
}

message(paste("BTC SMA cross signal is",btc_signal))

## BTC SMA cross signal is NONE

plot(price2$close~as.Date(price2$date),type="l",
  xlab="Date",ylab="price (USD)",main="BTC w 12/21 day SMA cross")
grid()
lines(price2$ma1~ as.Date(price2$date) ,col="red")
lines(price2$ma2~ as.Date(price2$date) ,col="blue")

Send a push notification.

if ( btc_signal != "NONE") {
  MYNOTE <- paste(MYNOTE, "", btc_signal)
}

BTC DMI indicator

Directional movement indicator is a good approach to identify trend changes.

n <- as.numeric(params[params$indicator == "DMI",2])

dmi.adx <- ADX(price[,c("high","low","close")],n=n)
price2 <- cbind(price,dmi.adx)
price2$signal <- dmi.adx[,1] > dmi.adx[,2]
tail(price2) %>% kbl() %>%  kable_paper("hover", full_width = F)

	date	high	low	close	DIp	DIn	DX	ADX	signal
295	2022-06-29	20364.16	19937.79	20104.02	11.202759	31.92161	48.04442	45.61667	FALSE
296	2022-06-30	20141.16	18729.66	19784.73	8.766389	43.59382	66.51507	49.09974	FALSE
297	2022-07-01	20632.67	19073.71	19269.37	13.859239	33.83985	41.88887	47.89793	FALSE
298	2022-07-02	19371.75	19027.08	19242.26	13.082641	32.70169	42.85101	47.05677	FALSE
299	2022-07-03	19558.27	18966.95	19297.08	14.992019	29.31937	32.33334	44.60287	FALSE
300	2022-07-04	19816.99	19084.24	19550.29	17.700132	25.41112	17.88626	40.15010	FALSE

today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
  if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
    btc_signal="BUY"
  }
  if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
    btc_signal="SELL"
  }
} else {
  btc_signal <- "NONE"
}

if (today_signal==TRUE) {
 system("sed -i 's/BTC_DMI_DAILY/BULLISH/' ../index1.html")
 system("sed -i 's/BTC_DMI_COL/green/' ../index1.html")
} else {
 system("sed -i 's/BTC_DMI_DAILY/BEARISH/' ../index1.html")
 system("sed -i 's/BTC_DMI_COL/red/' ../index1.html")
}

message(paste("BTC DMI signal:",btc_signal))

## BTC DMI signal: NONE

price2 <- as.data.frame(price2)
par(mfrow=c(2,1))
plot(price2$close~as.Date(price2$date),type="l",
  xlab="Date",ylab="price (USD)",main="BTC USD price")
grid()
plot(price2$DIp~as.Date(price2$date),type="l", col="blue",
  xlab="Date",ylab="price (USD)",main="BTC 32d DMI")
grid()
lines(price2$DIn ~ as.Date(price2$date) ,col="red")

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if ( btc_signal != "NONE") {
  MYNOTE <- paste(MYNOTE, "BTC DMI is flashing a", btc_signal)
}

BTC TSI indicator

Probably the best performing indicator across most price series data.

n <- as.numeric(unlist(strsplit(params[params$indicator == "TSI",2],",")))
n1 <- n[1]
n2 <- n[2]
ns <- n[3]

TSI <- function(x, n.first = 25, n.second = 13, n.signal = 7) {
  #True Strength Indicator
  #https://school.stockcharts.com/doku.php?id=technical_indicators:true_strength_index
  x <- try.xts(x, error = as.matrix)
  pc <- x - lag.xts(x, na.pad = T) #force lag.xts to get na padding
  dspc <- EMA(EMA(pc, n = n.first), n = n.second)
  dsapc <- EMA(EMA(abs(pc), n = n.first), n = n.second)

  tsi <- 100 * (dspc/dsapc)
  signal <- EMA(tsi, n = n.signal)
  r <- cbind(tsi, signal)
  r <- reclass(r, x)
  if (!is.null(dim(r))) colnames(r) <- c("tsi", "signal")
  return(r)
}

tsi <- TSI(price$close , n.first = n1, n.second = n2, n.signal = ns )
colnames(tsi) <- c("tsi","sig")

price2 <- cbind(price,tsi)
price2$signal <- tsi[,1] > tsi[,2]
tail(price2) %>% kbl() %>%  kable_paper("hover", full_width = F)

	date	high	low	close	tsi	sig	signal
295	2022-06-29	20364.16	19937.79	20104.02	-21.59234	-21.09054	FALSE
296	2022-06-30	20141.16	18729.66	19784.73	-21.85432	-21.34513	FALSE
297	2022-07-01	20632.67	19073.71	19269.37	-22.14294	-21.61107	FALSE
298	2022-07-02	19371.75	19027.08	19242.26	-22.41879	-21.88031	FALSE
299	2022-07-03	19558.27	18966.95	19297.08	-22.67393	-22.14485	FALSE
300	2022-07-04	19816.99	19084.24	19550.29	-22.88476	-22.39149	FALSE

today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
  if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
    btc_signal="BUY"
  }
  if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
    btc_signal="SELL"
  }
} else {
  btc_signal <- "NONE"
}

if (today_signal==TRUE) {
 system("sed -i 's/BTC_TSI_DAILY/BULLISH/' ../index1.html")
 system("sed -i 's/BTC_TSI_COL/green/' ../index1.html")
} else {
 system("sed -i 's/BTC_TSI_DAILY/BEARISH/' ../index1.html")
 system("sed -i 's/BTC_TSI_COL/red/' ../index1.html")
}

message(paste("BTC TSI signal:",btc_signal))

## BTC TSI signal: NONE

par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
  xlab="Date",ylab="price (USD)",main="USD price")
grid()

plot(tsi[,1] ~ as.Date(price2$date),type="l",col="blue",
  xlab="Date",ylab="TSI",main="TSI")
lines(as.Date(price2$date), tsi[,2]  , col="red"  )
grid()

par(mfrow=c(1,1))

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if ( btc_signal != "NONE") {
  MYNOTE <- paste(MYNOTE, "BTC TSI is flashing a", btc_signal)
}

BTC stochastic oscillator indicator

n <- as.numeric(unlist(strsplit(params[params$indicator == "stoch",2],",")))
n1 <- n[1]
n2 <- n[2]
n3 <- n[3]

sto <- stoch(HLC(price), nFastK=n1 , nFastD=n2 , nSlowD=n2 , bounded = TRUE, smooth=n3)

price2 <- cbind(price,sto)
price2$signal <- price2$fastK > price2$fastD

tail(price2) %>% kbl() %>%  kable_paper("hover", full_width = F)

	date	high	low	close	fastK	fastD	slowD	signal
295	2022-06-29	20364.16	19937.79	20104.02	0.2282476	0.2538299	0.3847318	FALSE
296	2022-06-30	20141.16	18729.66	19784.73	0.2230773	0.2553514	0.3806730	FALSE
297	2022-07-01	20632.67	19073.71	19269.37	0.2394570	0.2571743	0.3767063	FALSE
298	2022-07-02	19371.75	19027.08	19242.26	0.2643719	0.2588220	0.3728196	TRUE
299	2022-07-03	19558.27	18966.95	19297.08	0.2995874	0.2600417	0.3689883	TRUE
300	2022-07-04	19816.99	19084.24	19550.29	0.3448080	0.2607117	0.3652066	TRUE

today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
  if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
    btc_signal="BUY"
  }
  if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
    btc_signal="SELL"
  }
} else {
  btc_signal <- "NONE"
}

if (today_signal==TRUE) {
 system("sed -i 's/BTC_STOCH_DAILY/BULLISH/' ../index1.html")
 system("sed -i 's/BTC_STOCH_COL/green/' ../index1.html")
} else {
 system("sed -i 's/BTC_STOCH_DAILY/BEARISH/' ../index1.html")
 system("sed -i 's/BTC_STOCH_COL/red/' ../index1.html")
}

message(paste("BTC stoch signal:",btc_signal))

## BTC stoch signal: NONE

par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
  xlab="Date",ylab="price (USD)",main="USD price")
grid()

plot(price2$fastK ~ as.Date(price2$date),type="l",col="blue",
  xlab="Date",ylab="index",main="stochastic oscillator")
lines(as.Date(price2$date), price2$fastD  , col="red"  )
grid()

par(mfrow=c(1,1))

Send a push notification.

if ( btc_signal != "NONE") {
  MYNOTE <- paste(MYNOTE,"BTC Stoch is flashing a", btc_signal)
}

BTC double RSI indicator

n <- as.numeric(unlist(strsplit(params[params$indicator == "RSI2",2],",")))
n1 <- n[1]
n2 <- n[2]

rsi1 <- RSI(price$close,n=n1,maType=EMA)
rsi2 <- RSI(price$close,n=n2,maType=EMA)

price2 <- cbind(price,rsi1,rsi2)
price2$signal <- price2$rsi1 > price2$rsi2

tail(price2) %>% kbl() %>%  kable_paper("hover", full_width = F)

	date	high	low	close	rsi1	rsi2	signal
295	2022-06-29	20364.16	19937.79	20104.02	35.07874	35.47411	FALSE
296	2022-06-30	20141.16	18729.66	19784.73	34.69397	35.11488	FALSE
297	2022-07-01	20632.67	19073.71	19269.37	34.07300	34.53495	FALSE
298	2022-07-02	19371.75	19027.08	19242.26	34.04000	34.50415	FALSE
299	2022-07-03	19558.27	18966.95	19297.08	34.17268	34.62527	FALSE
300	2022-07-04	19816.99	19084.24	19550.29	34.79634	35.19400	FALSE

today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
  if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
    btc_signal="BUY"
  }
  if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
    btc_signal="SELL"
  }
} else {
  btc_signal <- "NONE"
}

if (today_signal==TRUE) {
 system("sed -i 's/BTC_RSI_DAILY/BULLISH/' ../index1.html")
 system("sed -i 's/BTC_RSI_COL/green/' ../index1.html")
} else {
 system("sed -i 's/BTC_RSI_DAILY/BEARISH/' ../index1.html")
 system("sed -i 's/BTC_RSI_COL/red/' ../index1.html")
}

message(paste("BTC RSI signal:",btc_signal))

## BTC RSI signal: NONE

par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
  xlab="Date",ylab="price (USD)",main="USD price")
grid()

plot(price2$rsi1 ~ as.Date(price2$date),type="l",col="blue",
  xlab="Date",ylab="index",main="double RSI")
lines(as.Date(price2$date), price2$rsi2  , col="red"  )
grid()

par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
  xlab="Date",ylab="price (USD)",main="USD price")
grid()

plot(price2$rsi1/price2$rsi2 ~ as.Date(price2$date),type="l",
  xlab="Date",ylab="RSI ratio",main="double RSI")
grid()
abline(h=1,lty=2,lwd=2)

par(mfrow=c(1,1))

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if ( btc_signal != "NONE") {
  MYNOTE <- paste(MYNOTE,"BTC RSI2 is flashing a", btc_signal)
}

#if ( !is.null(MYNOTE) ) {
#  MYNOTE <- paste(MYNOTE,". Visit https://mdz-analytics.com/crypto/alerts.html for the details")
#  pbPost("note", "Crypto Alert", MYNOTE, channel="btc_signal")
#}

Get ETH price data

Obtaining ETH historical data (daily).

URL="https://web-api.coinmarketcap.com/v1/cryptocurrency/ohlcv/historical?symbol=ETH&convert=USD&interval=daily&count=300"
download.file(URL,destfile="ethdat.txt")
ethdat <- fromJSON("ethdat.txt")
price <- ethdat$data$quotes
price <- data.frame( as.Date(price$time_close) , price$quote$USD$high, price$quote$USD$low, price$quote$USD$close)
colnames(price) <- c("date","high","low","close")
tail(price) %>% kbl() %>%  kable_paper("hover", full_width = F)

	date	high	low	close
294	2022-06-28	1229.739	1141.160	1144.579
295	2022-06-29	1152.685	1092.099	1098.944
296	2022-06-30	1103.690	1009.095	1067.299
297	2022-07-01	1100.224	1040.151	1059.767
298	2022-07-02	1073.053	1033.962	1066.513
299	2022-07-03	1083.419	1044.006	1073.767

Now gather hourly price data for the last 23 hours.

URL="https://web-api.coinmarketcap.com/v1/cryptocurrency/ohlcv/historical?symbol=ETH&convert=USD&interval=hourly&time_period=hourly&count=11"
download.file(URL,destfile="ethdat.txt")
ethdat <- fromJSON("ethdat.txt")
price2 <- ethdat$data$quotes
price2 <- data.frame( as.Date(price2$time_close)  , price2$quote$USD$high, price2$quote$USD$low, price2$quote$USD$close,stringsAsFactors=FALSE)
colnames(price2) <- c("date","high","low","close")
tail(price2) %>% kbl() %>%  kable_paper("hover", full_width = F)

	date	high	low	close
5	2022-07-04	1053.196	1051.030	1051.787
6	2022-07-04	1066.719	1051.363	1066.540
7	2022-07-04	1074.830	1066.526	1073.826
8	2022-07-04	1094.295	1072.431	1094.295
9	2022-07-04	1106.450	1094.238	1106.387
10	2022-07-04	1106.814	1094.569	1094.569

high <- max(price2[,2])
low <- min(price2[,3])
close <- price2[nrow(price2),4]

df <- data.frame(date=Sys.Date(),high=high,low=low,close=close,stringsAsFactors=FALSE)
price <- rbind(price,df)
tail(price) %>% kbl() %>%  kable_paper("hover", full_width = F)

	date	high	low	close
295	2022-06-29	1152.685	1092.099	1098.944
296	2022-06-30	1103.690	1009.095	1067.299
297	2022-07-01	1100.224	1040.151	1059.767
298	2022-07-02	1073.053	1033.962	1066.513
299	2022-07-03	1083.419	1044.006	1073.767
300	2022-07-04	1106.814	1048.396	1094.569

if ( TESTING == TRUE) {
  price[nrow(price),"Close"] <- price[nrow(price),"Close"] * 2
}

params <- read.table("https://mdz-analytics.com/altcoins/ETH/ETH_dat.txt", header=TRUE)
params %>% kbl(caption="ETH optimised backtested parameters") %>%  kable_paper("hover", full_width = F)

ETH optimised backtested parameters
indicator	parameter	meanROI	totalROI	ntrades	ndays	xhodl
SMA	34	1.747644	32115.470	67	2467	35.403176
EMA	17	1.163883	29146.841	130	2467	32.130644
SMAcross	27,5	1.618852	27858.643	46	2467	30.710572
EMAcross	16,13	2.634299	31742.967	30	2467	34.992539
DMI	16	1.891854	23110.349	60	2467	25.476188
TSI	101,7,20	1.368783	10773.280	49	2467	11.876156
stoch	20,5,36	1.237952	95850.138	75	2467	105.662452
RSI2	56,59	1.147941	2657.575	101	2467	2.929635

ETH SMA indicator

Now to determine whether ETH has crossed the SMA line.

price2 <- price

n <- as.numeric(params[params$indicator == "SMA",2])

price2$ma <- SMA(Cl(price2),n=n)
price2$signal <- price2$close > price2$ma
tail(price2) %>% kbl() %>%  kable_paper("hover", full_width = F)

	date	high	low	close	ma	signal
295	2022-06-29	1152.685	1092.099	1098.944	1461.294	FALSE
296	2022-06-30	1103.690	1009.095	1067.299	1441.953	FALSE
297	2022-07-01	1100.224	1040.151	1059.767	1420.404	FALSE
298	2022-07-02	1073.053	1033.962	1066.513	1398.477	FALSE
299	2022-07-03	1083.419	1044.006	1073.767	1371.340	FALSE
300	2022-07-04	1106.814	1048.396	1094.569	1346.405	FALSE

today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
  if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
    eth_signal="BUY"
  }
  if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
    eth_signal="SELL"
  }
} else {
  eth_signal <- "NONE"
}

if (today_signal==TRUE) {
 system("sed -i 's/ETH_SMA_DAILY/BULLISH/' ../index1.html")
 system("sed -i 's/ETH_SMA_COL/green/' ../index1.html")
} else {
 system("sed -i 's/ETH_SMA_DAILY/BEARISH/' ../index1.html")
 system("sed -i 's/ETH_SMA_COL/red/' ../index1.html")
}

message(paste("ETH SMA signal:",eth_signal))

## ETH SMA signal: NONE

plot(price2$close~as.Date(price2$date),type="l",
  xlab="Date",ylab="price (USD)",main="ETH w 34D MA")
grid()
lines(price2$ma~ as.Date(price2$date) ,col="red")

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MYNOTE = NULL

if ( eth_signal != "NONE") {
  MYNOTE <- paste("The ETH SMA signal is", eth_signal)
}

ETH SMA cross indicator

The SMA cross is a highly profitable strategy.

price2 <- price

n <- as.numeric(unlist(strsplit(params[params$indicator == "SMAcross",2],",")))
n1 <- n[1]
n2 <- n[2]

price2$ma1 <- SMA(Cl(price2),n=n1)
price2$ma2 <- SMA(Cl(price2),n=n2)

price2$signal <- price2$ma2 > price2$ma1
tail(price2) %>% kbl() %>%  kable_paper("hover", full_width = F)

	date	high	low	close	ma1	ma2	signal
295	2022-06-29	1152.685	1092.099	1098.944	1361.413	1176.096	FALSE
296	2022-06-30	1103.690	1009.095	1067.299	1335.199	1140.867	FALSE
297	2022-07-01	1100.224	1040.151	1059.767	1307.723	1112.854	FALSE
298	2022-07-02	1073.053	1033.962	1066.513	1280.364	1087.420	FALSE
299	2022-07-03	1083.419	1044.006	1073.767	1251.271	1073.258	FALSE
300	2022-07-04	1106.814	1048.396	1094.569	1224.623	1072.383	FALSE

today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
  if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
    eth_signal="BUY"
  }
  if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
    eth_signal="SELL"
  }
} else {
eth_signal <- "NONE"
}

if (today_signal==TRUE) {
 system("sed -i 's/ETH_SMA_CROSS_DAILY/BULLISH/' ../index1.html")
 system("sed -i 's/ETH_SMA_CROSS_COL/green/' ../index1.html")
} else {
 system("sed -i 's/ETH_SMA_CROSS_DAILY/BEARISH/' ../index1.html")
 system("sed -i 's/ETH_SMA_CROSS_COL/red/' ../index1.html")
}

message(paste("ETH SMA cross signal:",eth_signal))

## ETH SMA cross signal: NONE

plot(price2$close~as.Date(price2$date),type="l",
  xlab="Date",ylab="price (USD)",main="ETH w 5/27 day SMA cross")
grid()
lines(price2$ma1~ as.Date(price2$date) ,col="red")
lines(price2$ma2~ as.Date(price2$date) ,col="blue")

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if ( eth_signal != "NONE") {
  MYNOTE <- paste(MYNOTE,"The ETH SMA cross signal is", eth_signal)
}

ETH DMI

n <- as.numeric(params[params$indicator == "DMI",2])

dmi.adx <- ADX(price[,c("high","low","close")],n=n)
price2 <- cbind(price,dmi.adx)
price2$signal <- dmi.adx[,1] > dmi.adx[,2]
tail(price2) %>% kbl() %>%  kable_paper("hover", full_width = F)

	date	high	low	close	DIp	DIn	DX	ADX	signal
295	2022-06-29	1152.685	1092.099	1098.944	13.76190	35.62348	44.26731	47.76770	FALSE
296	2022-06-30	1103.690	1009.095	1067.299	13.01210	38.46332	49.44344	47.87244	FALSE
297	2022-07-01	1100.224	1040.151	1059.767	12.54896	37.09430	49.44344	47.97063	FALSE
298	2022-07-02	1073.053	1033.962	1066.513	12.24642	36.58167	49.83864	48.08738	FALSE
299	2022-07-03	1083.419	1044.006	1073.767	12.60164	35.65711	47.77468	48.06783	FALSE
300	2022-07-04	1106.814	1048.396	1094.569	13.65619	34.28709	43.03188	47.75309	FALSE

today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
  if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
    eth_signal="BUY"
  }
  if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
    eth_signal="SELL"
  }
} else {
  eth_signal <- "NONE"
}

if (today_signal==TRUE) {
 system("sed -i 's/ETH_DMI_DAILY/BULLISH/' ../index1.html")
 system("sed -i 's/ETH_DMI_COL/green/' ../index1.html")
} else {
 system("sed -i 's/ETH_DMI_DAILY/BEARISH/' ../index1.html")
 system("sed -i 's/ETH_DMI_COL/red/' ../index1.html")
}

message(paste("ETH DMI signal:",eth_signal))

## ETH DMI signal: NONE

par(mfrow=c(2,1))
plot(price2$close~as.Date(price2$date),type="l",
  xlab="Date",ylab="price (USD)",main="ETH USD price")
grid()
plot(price2$DIp~as.Date(price2$date),type="l", col="blue",
  xlab="Date",ylab="price (USD)",main="ETH 16d DMI")
grid()
lines(price2$DIn ~ as.Date(price2$date) ,col="red")

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if ( eth_signal != "NONE") {
  MYNOTE <- paste(MYNOTE, "ETH DMI is flashing a", eth_signal)
}

ETH TSI indicator

Best indicator.

n <- as.numeric(unlist(strsplit(params[params$indicator == "TSI",2],",")))
n1 <- n[1]
n2 <- n[2]
ns <- n[3]

tsi <- TSI(price$close , n.first = n1, n.second = n2, n.signal = ns )
colnames(tsi) <- c("tsi","sig")

price2 <- cbind(price,tsi)
price2$signal <- tsi[,1] > tsi[,2]
tail(price2) %>% kbl() %>%  kable_paper("hover", full_width = F)

	date	high	low	close	tsi	sig	signal
295	2022-06-29	1152.685	1092.099	1098.944	-24.95332	-24.52690	FALSE
296	2022-06-30	1103.690	1009.095	1067.299	-25.25741	-24.59647	FALSE
297	2022-07-01	1100.224	1040.151	1059.767	-25.52169	-24.68459	FALSE
298	2022-07-02	1073.053	1033.962	1066.513	-25.66597	-24.77805	FALSE
299	2022-07-03	1083.419	1044.006	1073.767	-25.71507	-24.86729	FALSE
300	2022-07-04	1106.814	1048.396	1094.569	-25.57796	-24.93498	FALSE

today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
  if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
    eth_signal="BUY"
  }
  if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
    eth_signal="SELL"
  }
} else {
  eth_signal <- "NONE"
}

if (today_signal==TRUE) {
 system("sed -i 's/ETH_TSI_DAILY/BULLISH/' ../index1.html")
 system("sed -i 's/ETH_TSI_COL/green/' ../index1.html")
} else {
 system("sed -i 's/ETH_TSI_DAILY/BEARISH/' ../index1.html")
 system("sed -i 's/ETH_TSI_COL/red/' ../index1.html")
}

message(paste("ETH TSI signal:",eth_signal))

## ETH TSI signal: NONE

par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
  xlab="Date",ylab="price (USD)",main="USD price")
grid()

plot(tsi[,1] ~ as.Date(price2$date),type="l",col="blue",
  xlab="Date",ylab="TSI",main="TSI")
lines(as.Date(price2$date), tsi[,2]  , col="red"  )
grid()

par(mfrow=c(1,1))

Send a push notification.

if ( eth_signal != "NONE") {
  MYNOTE <- paste(MYNOTE,"ETH TSI is flashing a ", eth_signal)
}

ETH stochastic oscillator indicator

n <- as.numeric(unlist(strsplit(params[params$indicator == "stoch",2],",")))
n1 <- n[1]
n2 <- n[2]
n3 <- n[3]

sto <- stoch(HLC(price), nFastK=n1 , nFastD=n2 , nSlowD=n2 , bounded = TRUE, smooth=n3)

price2 <- cbind(price,sto)
price2$signal <- price2$fastK > price2$fastD

tail(price2) %>% kbl() %>%  kable_paper("hover", full_width = F)

	date	high	low	close	fastK	fastD	slowD	signal
295	2022-06-29	1152.685	1092.099	1098.944	0.1863697	0.1823511	0.1757180	TRUE
296	2022-06-30	1103.690	1009.095	1067.299	0.1869669	0.1844323	0.1787056	TRUE
297	2022-07-01	1100.224	1040.151	1059.767	0.1930858	0.1868895	0.1817101	TRUE
298	2022-07-02	1073.053	1033.962	1066.513	0.2020019	0.1907580	0.1847309	TRUE
299	2022-07-03	1083.419	1044.006	1073.767	0.2093972	0.1955643	0.1879990	TRUE
300	2022-07-04	1106.814	1048.396	1094.569	0.2164346	0.2015773	0.1918443	TRUE

today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
  if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
    eth_signal="BUY"
  }
  if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
    eth_signal="SELL"
  }
} else {
  eth_signal <- "NONE"
}

if (today_signal==TRUE) {
 system("sed -i 's/ETH_STOCH_DAILY/BULLISH/' ../index1.html")
 system("sed -i 's/ETH_STOCH_COL/green/' ../index1.html")
} else {
 system("sed -i 's/ETH_STOCH_DAILY/BEARISH/' ../index1.html")
 system("sed -i 's/ETH_STOCH_COL/red/' ../index1.html")
}

message(paste("ETH stoch signal:",eth_signal))

## ETH stoch signal: NONE

par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
  xlab="Date",ylab="price (USD)",main="USD price")
grid()

plot(price2$fastK ~ as.Date(price2$date),type="l",col="blue",
  xlab="Date",ylab="index",main="stochastic oscillator")
lines(as.Date(price2$date), price2$fastD  , col="red"  )
grid()

par(mfrow=c(1,1))

Send a push notification.

if ( eth_signal != "NONE") {
  MYNOTE <- paste(MYNOTE,"ETH Stoch is flashing a ", eth_signal)
}

ETH double RSI indicator

n <- as.numeric(unlist(strsplit(params[params$indicator == "RSI2",2],",")))
n1 <- n[1]
n2 <- n[2]

rsi1 <- RSI(price$close,n=n1,maType=EMA)
rsi2 <- RSI(price$close,n=n2,maType=EMA)

price2 <- cbind(price,rsi1,rsi2)
price2$signal <- price2$rsi1 > price2$rsi2

tail(price2) %>% kbl() %>%  kable_paper("hover", full_width = F)

	date	high	low	close	rsi1	rsi2	signal
295	2022-06-29	1152.685	1092.099	1098.944	34.17488	34.36202	FALSE
296	2022-06-30	1103.690	1009.095	1067.299	33.61753	33.83464	FALSE
297	2022-07-01	1100.224	1040.151	1059.767	33.48284	33.70727	FALSE
298	2022-07-02	1073.053	1033.962	1066.513	33.72929	33.93769	FALSE
299	2022-07-03	1083.419	1044.006	1073.767	34.00182	34.19215	FALSE
300	2022-07-04	1106.814	1048.396	1094.569	34.79868	34.93562	FALSE

today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
  if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
    eth_signal="BUY"
  }
  if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
    eth_signal="SELL"
  }
} else {
  eth_signal <- "NONE"
}

if (today_signal==TRUE) {
 system("sed -i 's/ETH_RSI_DAILY/BULLISH/' ../index1.html")
 system("sed -i 's/ETH_RSI_COL/green/' ../index1.html")
} else {
 system("sed -i 's/ETH_RSI_DAILY/BEARISH/' ../index1.html")
 system("sed -i 's/ETH_RSI_COL/red/' ../index1.html")
}

message(paste("ETH RSI signal:",eth_signal))

## ETH RSI signal: NONE

par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
  xlab="Date",ylab="price (USD)",main="USD price")
grid()

plot(price2$rsi1 ~ as.Date(price2$date),type="l",col="blue",
  xlab="Date",ylab="index",main="double RSI")
lines(as.Date(price2$date), price2$rsi2  , col="red"  )
grid()

par(mfrow=c(1,1))

par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
  xlab="Date",ylab="price (USD)",main="USD price")
grid()

plot(price2$rsi1/price2$rsi2 ~ as.Date(price2$date),type="l",
  xlab="Date",ylab="RSI ratio",main="double RSI")
grid()
abline(h=1,lty=2,lwd=2)

par(mfrow=c(1,1))

Send a push notification.

if ( eth_signal != "NONE") {
  MYNOTE <- paste(MYNOTE,"ETH RSI2 is flashing a", eth_signal)
}

#if ( !is.null(MYNOTE) ) {
#  MYNOTE <- paste(MYNOTE,". Visit https://mdz-analytics.com/crypto/alerts.html for the details")
#  pbPost("note", "Crypto Alert", MYNOTE, channel="eth_signal")
#}

Session information

For reproducibility

sessionInfo()

## R version 4.1.2 (2021-11-01)
## Platform: aarch64-unknown-linux-gnu (64-bit)
## Running under: Ubuntu 22.04 LTS
## 
## Matrix products: default
## BLAS:   /usr/lib/aarch64-linux-gnu/blas/libblas.so.3.10.0
## LAPACK: /usr/lib/aarch64-linux-gnu/lapack/liblapack.so.3.10.0
## 
## locale:
##  [1] LC_CTYPE=en_AU.UTF-8       LC_NUMERIC=C              
##  [3] LC_TIME=en_AU.UTF-8        LC_COLLATE=en_AU.UTF-8    
##  [5] LC_MONETARY=en_AU.UTF-8    LC_MESSAGES=en_AU.UTF-8   
##  [7] LC_PAPER=en_AU.UTF-8       LC_NAME=C                 
##  [9] LC_ADDRESS=C               LC_TELEPHONE=C            
## [11] LC_MEASUREMENT=en_AU.UTF-8 LC_IDENTIFICATION=C       
## 
## attached base packages:
## [1] grid      stats     graphics  grDevices utils     datasets  methods  
## [8] base     
## 
## other attached packages:
##  [1] kableExtra_1.3.4  RPushbullet_0.3.4 quantmod_0.4.20   TTR_0.24.3       
##  [5] xts_0.12.1        zoo_1.8-10        runner_0.4.1      forcats_0.5.1    
##  [9] stringr_1.4.0     dplyr_1.0.9       purrr_0.3.4       readr_2.1.2      
## [13] tidyr_1.2.0       tibble_3.1.7      ggplot2_3.3.6     tidyverse_1.3.1  
## [17] jsonlite_1.8.0    png_0.1-7        
## 
## loaded via a namespace (and not attached):
##  [1] Rcpp_1.0.8.3      svglite_2.1.0     lattice_0.20-45   lubridate_1.8.0  
##  [5] assertthat_0.2.1  digest_0.6.29     utf8_1.2.2        R6_2.5.1         
##  [9] cellranger_1.1.0  backports_1.4.1   reprex_2.0.1      evaluate_0.15    
## [13] httr_1.4.3        highr_0.9         pillar_1.7.0      rlang_1.0.2      
## [17] curl_4.3.2        readxl_1.4.0      rstudioapi_0.13   jquerylib_0.1.4  
## [21] rmarkdown_2.14    webshot_0.5.3     munsell_0.5.0     broom_0.8.0      
## [25] compiler_4.1.2    modelr_0.1.8      xfun_0.30         systemfonts_1.0.4
## [29] pkgconfig_2.0.3   htmltools_0.5.2   tidyselect_1.1.2  viridisLite_0.4.0
## [33] fansi_1.0.3       crayon_1.5.1      tzdb_0.3.0        dbplyr_2.1.1     
## [37] withr_2.5.0       gtable_0.3.0      lifecycle_1.0.1   DBI_1.1.2        
## [41] magrittr_2.0.3    scales_1.2.0      cli_3.3.0         stringi_1.7.6    
## [45] fs_1.5.2          xml2_1.3.3        bslib_0.3.1       ellipsis_0.3.2   
## [49] generics_0.1.2    vctrs_0.4.1       tools_4.1.2       glue_1.6.2       
## [53] hms_1.1.1         parallel_4.1.2    fastmap_1.1.0     yaml_2.3.5       
## [57] colorspace_2.0-3  rvest_1.0.2       knitr_1.39        haven_2.5.0      
## [61] sass_0.4.1

Daily trade alerts for BTC and ETH

Mark Ziemann https://mdz-analytics.com

2022-07-04

Intro

Get BTC price data

BTC SMA indicator

BTC SMA cross indicator

BTC DMI indicator

BTC TSI indicator

BTC stochastic oscillator indicator

BTC double RSI indicator

Get ETH price data

ETH SMA indicator

ETH SMA cross indicator

ETH DMI

ETH TSI indicator

ETH stochastic oscillator indicator

ETH double RSI indicator

Session information